Points 26-31 of Annex IX Part 4 of the European Directive 2006/48/EC specifies an approach for securitisations with early amortisation triggered by excess spread or by a quantitative indicator. These provisions of the Directive have been transposed into the NBR/RNCS Regulation no. 21/26/2006 concerning the treatment of credit risk of securitised exposures and securitization positions.

According to art. 53 of the Regulation no. 21/26 in the case of securitisations subject to an early amortisation provision of retail exposures which are uncommitted and unconditionally cancelable without prior notice, where the early amortisation is triggered by excess spread level falling to a specified level, the credit institution shall compare the three-month average excess spread level with the excess spread levels at which the excess spread is required to be trapped. Where the securitization does not require excess spread to be trapped, the trapping point is deemed to be 4.5 percentage points greater than the excess spread level at which an early amortization is triggered.

According to art. 55 of the regulation, in the case of securitisations subject to an early amortisation provision of retail exposures which are uncommitted and unconditionally cancelable without prior notice and where the early amortization is triggered by a quantitative value in respect of something other than the specified three months average excess spread, the National Bank of Romania may apply a treatment which approximates the treatment outlined in art. 53 of the abovementioned Regulation.

According to art. 56, where for a particular securitisation the National Bank of Romania intends to apply the treatment in accordance with art. 55, it shall firstly inform the relevant competent authority of all the other Member States. Before this treatment becomes the general policy approach of the National Bank of Romania, it must consult the other Member States and take into consideration the views expressed. The views expressed in such consultation and the treatment applied shall be publicly disclosed by the National Bank of Romania.

For an overview regarding the specific treatment of securitisations in the EU Member States see the corresponding table on the CEBS website .